Electronic Communications in Probability

A connection of the Brascamp-Lieb inequality with Skorokhod embedding

Yuu Hariya

Full-text: Open access

Abstract

We reveal a connection of the Brascamp-Lieb inequality with Skorokhod embedding. Error bounds for the inequality in terms of the variance are also provided.

Article information

Source
Electron. Commun. Probab., Volume 19 (2014), paper no. 61, 12 pp.

Dates
Accepted: 29 August 2014
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465316763

Digital Object Identifier
doi:10.1214/ECP.v19-3025

Mathematical Reviews number (MathSciNet)
MR3254740

Zentralblatt MATH identifier
1298.82027

Subjects
Primary: 82B31: Stochastic methods
Secondary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]

Keywords
Brascamp-Lieb inequality Skorokhod embedding It\^o-Tanaka formula

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Hariya, Yuu. A connection of the Brascamp-Lieb inequality with Skorokhod embedding. Electron. Commun. Probab. 19 (2014), paper no. 61, 12 pp. doi:10.1214/ECP.v19-3025. https://projecteuclid.org/euclid.ecp/1465316763


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